There is a sense of satisfaction, of fulfillment, in successful thinking......It's notable too that the pleasure is in the solving of the problem. Working on a problem with no sense that you are making progress is not pleasurable. In fact, it's frustrating. And there's not great pleasure in simply knowing the answer either.
And why I find them so challenging:
There's a final necessity for thinking: sufficient space in working memory. Thinking becomes increasingly difficult as memory gets crowded.
(Cross-posted on Perfect Score Project)